How do I add a sound to the start of my game?
I'm fairly new to the game engine, but I was able to work this out so I will add my solution.
 Add a sensor and set to always>once, and then add a controller. The controller will be be an and controller. Finally, an actuator, which will hold the sound file. Set it to Sound>sound and the mode should be Play stop. 

This should work with a speaker or empty as well as a mesh object if you prefer, I tested on a uv sphere with the shortest sound I could find on my PC, and it works. It will play once only upon pressing P.  

Your logic bricks will look something like this: